Starting Out & PvE

Between level-up rewards, events, and stage missions, you'll get plenty of gems, and the single-player is a completely realized game at about the same tier as the old GBA/DS ones.

Start as whoever you like more, it takes a while to unlock the one you don't pick. If you can't decide, Kaiba's slightly better, mechanically.

Your first 500 gems should go towards your character's structure deck. After that, focus on whichever of the newest packs looks like it has a deck you might want to play.

Focus your efforts on leveling up your Stage. That's where most of the good unlocks are gated behind, including other characters, and AI opponents who don't suck.

Don't try to grind duels at the gates for card drops until you can duel Level 40 characters (Stage 30). They're more difficult, but it clears most of the chaff out of their drop lists.

The other series have their own characters and their own stage levels. Great for collecting more gems if you want to, but they can also be freely ignored.

PVP

If you're just interested in the stage rewards or casual PVP, play whatever decks you like, the low ranks are mostly other casual players (and the occasional asshole).

If you're aiming to climb the ranks, Duel Links Meta has a living gem guide (https://www.duellinksmeta.com/gem-guide/) that will give you the approximate costs of building whatever are currently the top tier decks. Go through them until you find one that interests you, then put it or something like it together, ideally unlocking and then grinding with the recommended character to do so.